This file is part of IDEAS, which uses RePEc data


[ Papers | Articles | Software | Books | Chapters | Authors | Institutions | JEL Classification | NEP reports | Search | New papers by email | Author registration | Rankings | Volunteers | FAQ | Blog | Help! ]

Convertible bonds and volatility structure

Author info | Abstract | Publisher info | Download info | Related research | Statistics
Author Info
Andrea Gheno
Abstract

The aim of this paper is to present a two-factor pricing model for convertible bonds, paying particular attention to the impact of volatility in the valuation process as suggested in previous studies. The model here proposed is discrete and the sources of uncertainty are the risk-free spot rate and the firm asset value.

Download Info
To download:

If you experience problems downloading a file, check if you have the proper application to view it first. Information about this may be contained in the File-Format links below. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL: http://host.uniroma3.it/dipartimenti/economia/pdf/wp57.pdf
Our checks indicate that this address may not be valid because: 404 Not Found. If this is indeed the case, please notify (Telephone for information)
File Format: application/pdf
File Function:
Download Restriction: no

Publisher Info
Paper provided by Department of Economics - University Roma Tre in its series Departmental Working Papers of Economics - University 'Roma Tre' with number 0057.

Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Length: 22
Date of creation: Dec 2005
Date of revision:
Handle: RePEc:rtr:wpaper:0057

Contact details of provider:
Postal: Via Silvio d'Amico 77, - 00145 Rome Italy
Phone: +39 06 57114612
Fax: +39 06 57114771
Email:
Web page: http://host.uniroma3.it/dipartimenti/economia/it/
More information through EDIRC

For technical questions regarding this item, or to correct its listing, contact: (Telephone for information).

Related research
Keywords:

Other versions of this item:

This paper has been announced in the following NEP Reports: References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Cox, John C. & Ross, Stephen A. & Rubinstein, Mark, 1979. "Option pricing: A simplified approach," Journal of Financial Economics, Elsevier, vol. 7(3), pages 229-263, September. [Downloadable!] (restricted)
  2. Brennan, M J & Schwartz, Eduardo S, 1977. "Convertible Bonds: Valuation and Optimal Strategies for Call and Conversion," Journal of Finance, American Finance Association, vol. 32(5), pages 1699-1715, December. [Downloadable!] (restricted)
  3. Marisa Cenci & Andrea Gheno, 2000. "Metodologie per la valutazione delle obbligazioni convertibili in ipotesi di evoluzione stocastica della struttura per scadenza," Departmental Working Papers of Economics - University 'Roma Tre' 0020, Department of Economics - University Roma Tre.
  4. Ingersoll, Jonathan Jr., 1977. "A contingent-claims valuation of convertible securities," Journal of Financial Economics, Elsevier, vol. 4(3), pages 289-321, May. [Downloadable!] (restricted)
Full references

Statistics
Access and download statistics

Did you know? RePEc and its associated services are free for contributors and users, and do not accept any advertising.

This page was last updated on 2009-11-27.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.